The optimization problems with probability distributions solutions

MaRDI QIDQ2737535zbMATH OpenFDO

Authors Fevronia Bulacu, Marius Bulacu

Publication date 19 September 2002

zbMATH Keywords

Cramer-Pearson indicatordependent random variablesFarlie-Gumbel-Morgenstern probability distributionsjoint distribution

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Approximations to statistical distributions (nonasymptotic) (62E17)

Review text

The aim of the paper is to obtain Farlie-Gumbel-Morgenstern (FGM) probability distributions for a finite number of dependent random variables by minimizing the Cramér-Pearson \(\chi\) indicator divergence, with restrictions in the form of inequalities on the covariance of the random variables. The authors obtain, for two dependent random variables, a formula for their joint distribution provided that their covariance is finitely bounded, prove that this distribution belongs to the FGM family, and decompose the joint distribution resulted formula into a FGM component and a linear component. The results for the case of two (dependent) random variables are then extended to the finite set of \(n\) random variables.NEWLINENEWLINEFor the entire collection see [Zbl 0938.00016].

Recommendations

• scientific article; zbMATH DE number 5039709
• scientific article; zbMATH DE number 894876
• Construction of the Optimal Joint Distribution of Two Random Variables
• On a general structure of the bivariate FGM type distributions.
• Extreme values in FGM random sequences

Cited in

(2)

• scientific article; zbMATH DE number 3920196 (Why is no real title available?)
• scientific article; zbMATH DE number 652007 (Why is no real title available?)

This page was built for publication: The optimization problems with probability distributions solutions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2737535)